Related papers: Quantitative law describing market dynamics before…
Financial markets show a number of non-stationarities, ranging from volatility fluctuations over ever changing technical and regulatory market conditions to seasonalities. On the other hand, financial markets show various stylized facts…
This paper introduces a transparent framework to identify the informational content of FOMC announcements. We do so by modelling the expectations of the FOMC and private sector agents using state of the art computational linguistic tools on…
This paper investigates short-term behaviors of implied volatility of derivatives written on indexes in equity markets when the index processes are constructed by using a ranking procedure. Even in simple market settings where stock prices…
We study the dynamics of public media attention by monitoring the content of online blogs. Social and media events can be traced by the propagation of word frequencies of related keywords. Media events are classified as exogenous - where…
The analysis of the classical and mirror triads of the sequence of earthquakes has been carried out in order to find the equations of evolution of foreshocks and aftershocks. The differential equation with cubic (quadratic) nonlinearity has…
We investigate quantitatively the so-called leverage effect, which corresponds to a negative correlation between past returns and future volatility. For individual stocks, this correlation is moderate and decays exponentially over 50 days,…
We present an empirical study of price reversion after the executed metaorders. We use a data set with more than 8 million metaorders executed by institutional investors in the US equity market. We show that relaxation takes place as soon…
Three fundamental laws of the physics of earthquakes, bearing the names of their discoverers Omori, Gutenberg, Richter and Bath, are widely used in original, review, monographic, and encyclopedic literature. In this paper, we have tried to…
The known Omori law is presented in the form of differential equation that describes the evolution of the aftershock activity. This equation is derived hypothetically with taking into account deactivation of the faults in epicentral zone of…
We investigate the consequences of legal rulings on the conduct of monetary policy. Several unconventional monetary policy measures of the European Central Bank have come under scrutiny before national courts and the European Court of…
In this paper we study empirically the Forward Rate Curve (FRC) of 5 different currencies. We confirm and extend the findings of our previous investigation of the U.S. Forward Rate Curve. In particular, the average FRC follows a square-root…
This paper studies the transmission of US monetary policy shocks into Emerging Markets emphasizing the role of investment and financial heterogeneity. First, we use a panel SVAR model to show that a US interest tightening leads to a…
In order to understand the origin of stock price jumps, we cross-correlate high-frequency time series of stock returns with different news feeds. We find that neither idiosyncratic news nor market wide news can explain the frequency and…
As part of an effort to develop a systematic methodology for earthquake forecasting, we use a simple model of seismicity based on interacting events which may trigger a cascade of earthquakes, known as the Epidemic-Type Aftershock Sequence…
In this work the distribution of inter-occurrence times between earthquakes in aftershock sequences is analyzed and a model based on a non-homogeneous Poisson (NHP) process is proposed to quantify the observed scaling. In this model the…
We report new tests on the Taiwan earthquake catalog of the prediction by the Multifractal Stress Activation (MSA) model that the p-value of the Omori law for the rate of aftershocks following a mainshock is an increasing function of its…
The elementary theory of relaxation of the source cooling down after the main shock of an earthquake is presented axiomatically. The names of the objects under study are given and the relationships between them are determined. A new basic…
The principal aim of this work is the evidence on empirical way that catastrophic bifurcation breakdowns or transitions, proceeded by flickering phenomenon, are present on notoriously significant and unpredictable financial markets.…
We consider a general stochastic branching process, which is relevant to earthquakes as well as to many other systems, and we study the distributions of the total number of offsprings (direct and indirect aftershocks in seismicity) and of…
We propose that large stock market crashes are analogous to critical points studied in statistical physics with log-periodic correction to scaling. We extend our previous renormalization group model of stock market prices prior to and after…